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Post-LIBOR Settle Update: 3M Recedes, Whites Rebound

US EURODLR FUTURES

Lead quarterly EDM2 holding at 98.175 (+0.010) after latest 3M LIBOR set'
scales back -0.01057 from Wed's new 2Y high of 1.42186% to 1.41129% (+0.00943/wk).

  • Balance of Whites (EDU2-EDH3) rebounds from Wed's sell-off, currently trades +0.005-0.040 higher, Reds through Golds (EDM3-EDH7) gaining +0.055-095, Greens outperforming.
  • Inversion in front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession) expands: Red Sep (EDU3) currently trading 96.765 vs. Red Jun (EDM3) at 96.675. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.13.
  • Wednesday's FI option trade recap: Tsys futures rebounding as bonds appear to be discounting the inflation data, short end anchored as additional three 50bp rate hikes gets baked in. Nevertheless, analysts anticipate inflation softening in the coming months.
  • Yield curves bear - then bull-flattened on the day amid surge in rate hike hedging via various outright put buying and spread trade.
  • Salient Eurodollar option trade includes buy of +5,000 Dec 96.00/96.25/96.50 put flys, 2.25, block buy of 6,000 Green Sep 96.25/96.62 3x2 put spds, 7 net, and block buy of +10,000 short Dec 98.50 puts, 12.5 vs. 96.66/0.16%. Large vol buy +10,000 Jun 98.12 straddles, 11.0 vs. 98.155/0.18% blocked.
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